SWR算法在期权定价中的应用

Application of SWR algorithm in option pricing

摘要:

本文首先根据Schwarz波形松弛算法求解热传导方程的思路分析了SWR算法在欧式期权定价问题中的可行性,然后将欧式看涨期权定价问题转换为一类热传导方程的初-边值问题，通过Schwarz迭代方法获得了相应的误差方程，进而给出了算法误差的收敛性结果及算法的流程.数值实验表明，与经典的欧式期权定价公式相比，本算法具有更好的估计效果.

Abstract:

In this paper, inspired by the idea of solving heat conduction equation by means of Schwarz waveform relaxation algorithm, we analyze the feasibility of applying SWR algorithm in European option pricing. After transforming European call option pricing into a class of initial boundary value problems for heat conduction equation, error functions are obtained with Schwarz iterative method. Then the convergence result of algorithm error and the flow diagrams of algorithm are given. It is showed by a numerical experiment that this algorithm has better estimation effect compared with classical European option pricing formula.